Hull-White one factor model
Install
| Author : Fermat Consulting |
| Description : A no-arbitrage model which is the industry standard for modeling the future interest rate dynamic. The plug-in implements the one-factor version of model and the possibility of calibrating it to a cap volatility matrix. |
| Tags : stochastic process, calibration, short rate, interest rates |
| Downloads : 1428 |
|
|
